The primary aim of this paper is to investigate the sensitivity of Australian industry equity returns to an oil price factor over the period 1983–1996. The paper employs an augmented market model to establish the sensitivity. The key findings are as follows. First, a degree of pervasiveness of an oil price factor, beyond the influence of the market, is detected across some Australian industries. Second, we propose and find significant positive oil price sensitivity in the Oil and Gas and Diversified Resources industries. Similarly, we propose and find significant negative oil price sensitivity in the Paper and Packaging, and Transport industries. Generally, we find that long-term effects persist, although we hypothesize that some firms have been able to pass on oil price changes to customers or hedge the risk. The results have implications for management in these industries and policy makers and enhance our understanding of the “Dutch disease.”